Fama-MacBeth Cross-Sectional Regressions

Version 1.0.0 (3.84 KB) by Gerrit Liedtke
This package provides a function to estimate a series of cross-sectional regressions à la Fama and MacBeth (1973)
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Updated 30 Jan 2025

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A brief demo is included in the demo_fm.m file.

Cite As

Gerrit Liedtke (2025). Fama-MacBeth Cross-Sectional Regressions (https://uk.mathworks.com/matlabcentral/fileexchange/179874-fama-macbeth-cross-sectional-regressions), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2023b
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes
1.0.0